hes_fixed_table#

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Hessian of The Fixed Effect Objective Function#

Creation#

A new version of this table is created each time the asymptotic sample command is executed. The laplace densities are not included in the Hessian because the Laplace density is not differentiable at zero. None of the constraints are included in the calculation of this Hessian.

Scaling#

The Hessian is in the scaled space for the fixed effects; see Scaling Fixed Effects .

hes_fixed_id#

This column has type integer and is the primary key for the this table. Its initial value is zero, and it increments by one for each row.

row_var_id#

This is the var_id for the row of the Hessian that this element corresponds to.

col_var_id#

This is the var_id for the column of the Hessian that this element corresponds to.

hes_fixed_value#

This column has type real and is the value of the second derivative of the fixed effects objective w.r.t. the two fixed effects specified by the row and column indices above. Note that the row and column indices are equal for the diagonal elements of the Hessian.

Representation#

  1. Only the lower triangle of the Hessian is included (because the Hessian is symmetric).

  2. The matrix is in row major order; i.e. row_var_id is monotone non-decreasing and for each value of row_var_id the col_var_id is monotone increasing.

  3. This is a sparse representation; i.e., if a pair of row and column indices in the lower triangle are not present, the Hessian is zero for that row and column pair.

  4. The asymptotic statistics require the Hessian to be positive definite on the sub-set of variables that have their lower limit less than upper. Only these variables are included in the sparse representation of the Hessian.